A program for sequential allocation of three Bernoulli populations

DOI10.1016/S0167-9473(99)00039-0MaRDI QIDQ1978413zbMATH OpenOpenAlexWikidataFDO

Authors R. Oehmke, Q. F. Stout, Janis P. Hardwick

Publication date 4 June 2000

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(99)00039-0

zbMATH Keywords

adaptive allocationclinical trialsdesign of experimentsdynamic programminghigh-performance computingload balancingmulti-arm banditparallel computingrecursive equationssequential sampling

Mathematics Subject Classification ID

Sequential statistical design (62L05) Sequential statistical analysis (62L10) Sequential statistical methods (62L99)

Review text

A program for optimizing and analyzing sequential allocation problems involving three Bernoulli populations and a general objective function is described. Previous researchers had considered this problem computationally intractable, and there appears to be no prior exact optimizations for such problems, even for very small sample sizes. This paper contains a description of the program, along with the techniques used to scale it to large sample sizes. The program currently handles problems of size 200 or more by using a modest parallel computer, and problems of size 100 on a workstation. As an illustration, the program is used to create an adaptive sampling procedure that is the optimal solution to a 3-arm bandit problem. The bandit procedure is then compared to two other allocation procedures along various Bayesian and frequentist metrics. Extensions enabling the program to solve a variety of related problems are discussed.

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Cites work

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Cited in

(7)

• A program for sequential allocation of three Bernoulli populations
• New adaptive designs for delayed response models
• Intermediate Monitoring, Sample Size Reassessment, and Multi-Treatment Optimal Response-Adaptive Designs for Phase III Clinical Trials with More Than One Constraint
• Using Path Induction to Evaluate Sequential Allocation Procedures
• Sample allocation procedure for evaluation of the impact of development programme under exponential phase effect
• A computational approach to the Kiefer-Weiss problem for sampling from a Bernoulli population
• Optimizing a unimodal response function for binary variables

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